NO.PZ202208260100000601
问题如下:
Identify which of the following statements is associated with which Ace counterparty swap position.
选项:
A.
Statement 1 matches statement A.
B.
Statement 2 matches statement B.
C.
Statement 3 matches statement C.
解释:
Solution
C is correct.
Statement 1 matches statement B.
A pay-fixed swap counterparty will realize an MTM gain if implied forward rates rise.
Statement 2 matches statement A.
A receive-fixed swap counterparty will make a net payment if the initial market reference rate sets above the fixed swap rate.
Statement 3 matches statement C.
Both a receive-fixed and a pay-fixed swap counterparty will face an initial swap contract value (ignoring transaction and counterparty credit costs) of zero.
中文解析
表述1与表述B匹配。
如果隐含远期利率上升,处于支付固定利率,收到浮动利率的一方将实现收益。
表述2与表述A匹配。
对于收到固定利率,支付浮动利率的一方来说,当市场参考利率高于固定利率的时候,意味着支付出去的相比于收到的要多,因此会有一个净支出,即net payment。
表述3与表述C匹配。
对于互换合约来说,不论是支付固定收益的一方,还是收到固定收益的一方,期初的value都为0。
IFR和FRA的区别是什么,他们的上升或下降对互换双方有什么影响,麻烦老师